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Any positive residual history is possible for the Arnoldi method for Lyapunov matrix equations
Umeå University, Faculty of Science and Technology, Department of Computing Science. Umeå University, Faculty of Science and Technology, High Performance Computing Center North (HPC2N).ORCID iD: 0000-0002-9158-1941
2010 (English)Report (Other academic)
Abstract [en]

In this paper we consider the Lyapunov equation AX+XA^T+bb^T = 0, where A is negative definite n by n matrix and b in R^n. The Arnoldi method is an iterative algorithm which can be used to compute an approximate solution. However, the convergence can be very slow and in this paper we show how to explicitly construct a Lyapunov equation with a given residual curve. The matrix A can be chosen as symmetric negative definite and it is possible to arbitrarily specify the elements on the diagonal of the Cholesky factor of -A. If the symmetry is dropped, then it is possible to arbitrarily specify A+A^T, while retaining the residual curve.

Place, publisher, year, edition, pages
Umeå universitet , 2010. , p. 15
Series
Report / UMINF, ISSN 0348-0542 ; 10.03
National Category
Computer Sciences Computational Mathematics
Research subject
Computer Science; Mathematics
Identifiers
URN: urn:nbn:se:umu:diva-168443OAI: oai:DiVA.org:umu-168443DiVA, id: diva2:1396240
Available from: 2020-02-25 Created: 2020-02-25 Last updated: 2020-02-27Bibliographically approved

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Kjelgaard Mikkelsen, Carl Christian

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf